Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns

Galvao Jr, A. F., Montes-Rojas, G. & Park, S. Y. (2013). Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns. Oxford Bulletin of Economics and Statistics, 75(2), pp. 307-321. doi: 10.1111/j.1468-0084.2011.00683.x

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Abstract

This article studies quantile regression in an autoregressive dynamic framework with exogenous stationary covariates. We demonstrate the potential of the quantile autoregressive distributed lag model with an application to house price returns in the United Kingdom. The results show that house price returns present a heterogeneous autoregressive behaviour across the quantiles. Real GDP growth and interest rates also have an asymmetric impact on house prices variations.

Item Type: Article
Additional Information: This is the peer reviewed version of the following article: Galvao JR., A. F., Montes-Rojas, G. and Park, S. Y. (2013), Quantile Autoregressive Distributed Lag Model with an Application to House Price Returns. Oxford Bulletin of Economics and Statistics, 75: 307–321, which has been published in final form at http://dx.doi.org/10.1111/j.1468-0084.2011.00683.x. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Self-Archiving.
Uncontrolled Keywords: quantile autoregression, distributed lag model, autoregressive model
Subjects: H Social Sciences > HB Economic Theory
Divisions: School of Social Sciences > Department of Economics
URI: http://openaccess.city.ac.uk/id/eprint/12039

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